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1159 discussions

[VFN] Public Lecture Prof. Bill Sharpe March 25th
by Gutmann Center-D.Grimm 26 Feb '04

26 Feb '04

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna www.gutmann-center.at is pleased to announce the following PUBLIC LECTURE: (We apologize for any cross-postings) Date: March, 25th (Thursday), 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien www.gutmann.at Title: "Asset Allocation Optimization: Theory and Practice" Speaker: Prof. Dr. William F. SHARPE STANCO 25 Professor of Finance, Emeritus at Stanford University's Graduate School of Business Nobel Prize in Economic Sciences, 1990 http://gobi.stanford.edu/facultybios/bio.asp?ID=151 Prof. Sharpe was one of the originators of the Capital Asset Pricing Model, developed the Sharpe Ratio for investment performance analysis, the binomial method for the valuation of options, the gradient method for asset allocation optimization, and returns-based style analysis for evaluating the style and performance of investment funds. Dr. Sharpe has published articles in a number of professional journals, including Management Science, The Journal of Business, The Journal of Finance, The Journal of Financial Economics, The Journal of Financial and Quantitative Analysis, The Journal of Portfolio Management, and The Financial Analysts' Journal. He has also written six books, including Portfolio Theory and Capital Markets (McGraw-Hill, 1970 and 2000), Asset Allocation Tools (Scientific Press, 1987), Fundamentals of Investments (with Gordon J. Alexander and Jeffrey Bailey, Prentice-Hall, 2000) and Investments (with Gordon J. Alexander and Jeffrey Bailey, Prentice-Hall, 1999). Prof. Sharpe is past President of the American Finance Association. In 1990 he received the Nobel Prize in Economic Sciences. He received his Ph.D., M.A. and B.A. in Economics from the University of California at Los Angeles. He is also the recipient of a Doctor of Humane Letters, Honoris Causa from DePaul University, a Doctor Honoris Causa from the University of Alicante (Spain), and the UCLA Medal, UCLA's highest honor. Dr. Sharpe is a trustee of the AXA Rosenberg mutual funds and a member of the board of Financial Engines, Incorporated. Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +43-1-50220-249 Further information: Dorothea Grimm Gutmann Center for Portfolio Management mail: dorothea.grimm(a)univie.ac.at Phone: +43-1-4277-38186 web: http://www.gutmann-center.at

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[VFN] EURANDOM Workshop
by Wim Schoutens 03 Feb '04

03 Feb '04

EURANDOM Workshop on "Exotic option pricing under advanced Lévy models" EURANDOM, Eindhoven, The Netherlands May 3 and 4, 2004. http://www.eurandom.nl/workshops/2004/Exotic%20pricing/exotic_pricing.htm Summary In recent years more and more attention has been given to stochastic models of financial markets which depart from the traditional Black-Scholes model; that is to say both in academia and financial institutions alike. In particular focus has been placed on modelling risky assets with semi-martingales. For example Lévy process based models are able to take into account different important stylised features of financial time series. The consequence of working with more advanced stochastic models forces a number of new mathematical challenges with respect to exotic derivatives. Exotic derivatives are gaining increasing importance as financial instruments and are traded nowadays in large quantities in over the counter markets. Examples of these exotic options are lookback, barrier, Asian, Parisian, Bermudian, Russian, Israeli, Passport, Cliquet, digital, swing, corridor, Variance Swap options etc. Moreover these instruments are finding their way into other businesses like the (re-)insurance; for example catastrophe options, weather derivatives and energy derivatives are useful in handling different kinds of risk. Mathematical issues at stake include: multiple inverse Fourier transform techniques, issues of smooth and continuous pasting in free boundary and optimal stopping problems, extracting overshoot distributions from Wiener-Hopf factorisations, characterizing distributions of functionals of Levy processes, wavelet and other sub-basis methods for American-type option pricing, Monte-Carlo simulations and other numerical techniques. This workshop aims to bring people together from both industry and academia to overview recent results, discuss imminent problems and motivate new research. Special lectures by Dilip Madan,University of Maryland at College Park Peter Carr, New York University and Bloomberg Marc Yor, Université Paris VI Albert Shiryaev, Stekolov Mathematical Institute and Moscow State University Speakers and Discussion chairmen Hansjörg Albrecher, Technische Universität Graz Paulinne Barrieu, London School of Economics Peter Carr, New York University and Bloomberg Freddy Delbaen, ETH-Zentrum Richard Hudson, The Wall Street Journal Christoph Kühn, Johann Wolfgang Goethe-Universität Andreas Kyprianou, Universiteit Utrecht Elisa Nicolato,University of Aarhus David Nualart, Universitat de Barcelona Dilip Madan ,University of Maryland at College Park Goran Peskir, University of Aarhus Frédérique Petit , Université Paris VI Wim Schoutens, K.U.Leuven - U.C.S. Albert Shiryaev, Stekolov Mathematical Institute and Moscow State University Nick Webber, Cass Business School Marc Yor, Université Paris VI REGISTRATION FEE For academia there is no fee. For non-academic people the fee is 500 Euro* (For inscriptions before 31th of March, 2004) 700 Euro* (For inscriptions after 31th of March, 2004)

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[VFN] Stellenausschreibung, Abt. Industriefinanzierung, TU-Wien
by Wolfgang Aussenegg 19 Jan '04

19 Jan '04

AUSSCHREIBUNG - TU-Wien An der Abt. Industriefinanzierung und Investment Banking (im neuen Organisationsplan: Abt. Finanzwirtschaft und Controlling) (http://info.tuwien.ac.at/E330/), Institut für Betriebswissenschaften, Arbeitswissenschaft und Betriebswirtschaftslehre (E330) (http://ebweb.tuwien.ac.at/), der Technischen Universität Wien (http://www.tuwien.ac.at/), ist voraussichtlich ab 1.3.2004 auf die Dauer von 6 Jahren eine Stelle für einen/eine Universitätsassistenten/in zu besetzen. Beschäftigungsausmaß: vollbeschäftigt Aufnahmebedingungen: einschlägig abgeschlossenes Doktoratsstudium bzw eine gleichwertige wissenschaftliche Befähigung Sonstige Kenntnisse: Finanzwirtschaft und Risikomanagement, Statistik/Ökonometrie (inkl. Zeitreihenanalyse), Informatikkenntnisse und Programmiererfahrung Bewerbungsfrist: 21.1.2004 bis 11.2.2004 Bewerbungen sind an die Personalabteilung I (http://www.tuwien.ac.at/zv/pers1/ bzw. http://info.tuwien.ac.at/histu/inst/0104.html) der TU Wien, Karlsplatz 13, A-1040 Wien, zu richten. Für weitergehende Auskünfte steht a.o.Univ.-Prof. Dr. Wolfgang Aussenegg (Email: waussen(a)pop.tuwien.ac.at) (www: http://info.tuwien.ac.at/E330/Staff/Aussenegg.htm) zur Verfügung. Mit freundlichen Grüßen, Wolfgang Aussenegg -- *********************************************************** a.o.Univ.-Prof. Dr. Wolfgang Aussenegg Institut für Betriebswissenschaften, Arbeitswissenschaft und Betriebswirtschaftslehre Abt. Industriefinanzierung und Investment Banking Technische Universität Wien Phone: +43-1-58801 - 33082 Fax: +43-1-58801 - 33098 E-mail: waussen(a)pop.tuwien.ac.at Web: http://info.tuwien.ac.at/E330/ Adresse: Favoritenstraße 9-11 A-1040 Wien Österreich

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[VFN] Public Lecture Stephen Ross January 21st, Wednesday - Reminder and abstract
by Gutmann Center-D.Grimm 19 Jan '04

19 Jan '04

REMINDER * REMINDER * REMINDER * REMINDER * REMINDER The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (http://www.gutmann-center.at) is pleased to announce the following PUBLIC LECTURE: Date: January 21st, 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: STEPHEN A. ROSS, MIT Sloan Management School Franco Modigliani Professor of Financial Economics http://sloancf.mit.edu/vpf/facstaff.cfm?ID=226&ProfType=F&sortor der=name A widely published author in finance and economics, Stephen Ross is best known as the inventor of the Arbitrage Pricing Theory of Agency, as well as the codiscoverer of risk-neutral pricing and the binomial model for pricing derivatives. His book Corporate Finance is in its fourth edition. Ross' current research efforts involve a variety of phenomena in financial markets. He is a principal of Roll & Ross Asset Management Corporation, which employs technology that Ross helped develop to manage over $3 billion in investments worldwide. He is a fellow of the American Academy of Arts and Sciences and is a director of Freddie Mac, Algorithmics, Inc., and the College Retirement Equities Fund. He is also a trustee of the California Institute of Technology. Title: "A NEOCLASSICAL VIEW OF BEHAVIORAL FINANCE AND THE CLOSED END FUND PUZZLE-IMPLICATIONS FOR ASSET MANAGEMENT" Abstract: "There is a rising interest in the use of anomalies and behavioral finance in asset management. Some of the results from this work are of potential value and much is not. Of most value are the empirical findings when they are properly understood and interpreted. Of least value are the 'behavioral explanations'. Without a solid neoclassical financial basis for an anomaly, trading on the basis of it is perilous." Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +43-1-50220-249 Further information: Dorothea Grimm Gutmann Center for Portfolio Management mail: dorothea.grimm(a)univie.ac.at Phone: +43-1-4277-38186 web: http://www.gutmann-center.at

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[VFN] ccefm workshop
by Alex Stomper 13 Jan '04

13 Jan '04

CCEFM Workshop Stephen Ross, MIT "Compensation, Incentives, and the Duality of Risk Aversion and Riskiness" Thursday, January 22nd, 2.30-4.00 pm TU Wien, Gußhausstraße 25-29, 1040 Wien, HS EI8 (Stiege 1, EG) The paper is downloadable from: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html

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[VFN] Stephen A. Ross - Public Lecture January 21st - Gutmann Center
by Gutmann Center-D.Grimm 12 Jan '04

12 Jan '04

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (http://www.gutmann-center.at) is pleased to announce the following PUBLIC LECTURE: Date: January 21st, 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: STEPHEN A. ROSS, MIT Sloan Management School Franco Modigliani Professor of Financial Economics http://sloancf.mit.edu/vpf/facstaff.cfm?ID=226&ProfType=F&sortor der=name A widely published author in finance and economics, Stephen Ross is best known as the inventor of the Arbitrage Pricing Theory of Agency, as well as the codiscoverer of risk-neutral pricing and the binomial model for pricing derivatives. His book Corporate Finance is in its fourth edition. Ross' current research efforts involve a variety of phenomena in financial markets. He is a principal of Roll & Ross Asset Management Corporation, which employs technology that Ross helped develop to manage over $3 billion in investments worldwide. He is a fellow of the American Academy of Arts and Sciences and is a director of Freddie Mac, Algorithmics, Inc., and the College Retirement Equities Fund. He is also a trustee of the California Institute of Technology. Title: "A NEOCLASSICAL VIEW OF BEHAVIORAL FINANCE AND THE CLOSED END FUND PUZZLE-IMPLICATIONS FOR ASSET MANAGEMENT" Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +43-1-50220-249 Further information: Dorothea Grimm Gutmann Center for Portfolio Management mail: dorothea.grimm(a)univie.ac.at Phone: +43-1-4277-38186 web: http://www.gutmann-center.at

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[VFN] 2 Posten am Inst. f. Finanzierung u. Finanzmaerkte, WU Wien
by VFN-L admin * Andreas Schamanek 08 Jan '04

08 Jan '04

---------- Forwarded message ---------- Date: Thu, 08 Jan 2004 07:47:45 +0100 From: Stefan Bogner <Stefan.bogner(a)wu-wien.ac.at> (...) ************************************************************************* 4.) Im Institut für Finanzierung und Finanzmärkte, Abt. für Betriebliche Finanzierung, ist voraussichtlich ab 1. Februar 2004 bis 31. August 2005 1 Posten für eine/n Wissenschaftlichen Mitarbeiter/in, vollbeschäftigt, (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF) zu besetzen. Notwendige Kenntnisse und Qualifikationen: EU-Bürger/in; abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften Erwünschte Kenntnisse und Qualifikationen: Vertiefte Kenntnisse auf dem Gebiet der Finanzierung, der EDV-Anwendung und der englischen Sprache, Interesse an finanzwissenschaftlicher Forschung Kennzahl: 11105 Schriftliche Bewerbungen mit Lebenslauf und Angabe über den Studienerfolg (ohne Original-zeugnisse) sind unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien zu richten. Ende der Bewerbungsfrist: 28. Jänner 2004 Bitte die Kennzahl unbedingt anführen ! Der Rektor: o. Univ.Prof. Dr. Chr. Badelt 5.) Im Institut für Finanzierung und Finanzmärkte, Abt. für Betriebliche Finanzierung, ist voraussichtlich ab 1. Februar 2004 bis 31. August 2005 1 Posten für eine/n Wissenschaftlichen Mitarbeiter/in, vollbeschäftigt, (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF) zu besetzen. Notwendige Kenntnisse und Qualifikationen: EU-Bürger/in; abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften oder der Mathematik bzw. Informatik mit wirtschaftlichem Schwerpunkt Erwünschte Kenntnisse und Qualifikationen: Vertiefte Kenntnisse auf dem Gebiet der Finanzierung, der EDV-Anwendung und der englischen Sprache, Interesse an finanzwissenschaftlicher Forschung Kennzahl: 11305 Schriftliche Bewerbungen mit Lebenslauf und Angabe über den Studienerfolg (ohne Original-zeugnisse) sind unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien zu richten. Ende der Bewerbungsfrist: 28. Jänner 2004 Bitte die Kennzahl unbedingt anführen ! ************************************************************************* Mit besten Grüßen Stefan Bogner

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[VFN] CCEFM Workshops
by Alex Stomper 02 Jan '04

02 Jan '04

Upcoming CCEFM Workshops 9.1.2003 Alex Stomper "Why Leverage Distorts Investment" 16.1.2003 Josef Zechner "Where is the Market? Evidence from Cross-Listings" Both talks start at 3:30 pm in the Wiener Börse, Wallnerstrasse 8, 1010 Wien. The papers are downloadable from: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html

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[VFN] Agent-Based Computational Economics: ACE News Notes (December) (fwd)
by VFN-L admin * Andreas Schamanek 19 Dec '03

19 Dec '03

---------- Forwarded message ---------- Date: Wed, 17 Dec 2003 15:15:14 -0600 From: Leigh Tesfatsion <tesfatsi(a)IASTATE.EDU> Subject: ACE News Notes (December) (...) In case you are interested, I have just released online the December 2003 news notes on agent-based computational economics (ACE). ACE is the computational study of economies modelled as evolving systems of autonomous interacting agents with learning capabilities. The December 2003 ACE news notes can be accessed at http://www.econ.iastate.edu/tesfatsi/ace1203.htm These notes include announcements regarding books, journals, software, and websites that might be of interest to ACE researchers in particular and to computational social science researchers in general. The notes are also archived (along with all past distributed ACE news notes) at the ACE website at http://www.econ.iastate.edu/tesfatsi/ace.htm Best wishes, Leigh Tesfatsion Leigh Tesfatsion Department of Economics Tel: (515) 294-0138 Iowa State University FAX: (515) 294-0221 Ames, Iowa 50011-1070 U.S.A. tesfatsi(a)iastate.edu http://www.econ.iastate.edu/tesfatsi/

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[VFN] Developments in Quantitative Finance
by Uwe Schmock 05 Dec '03

05 Dec '03

From David G. Hobson <dgh(a)maths.bath.ac.uk> Dear Colleague; In 2005 the Isaac Newton Institute is holding a six-month programme on Developments in Quantitative Finance: see http://www.newton.cam.ac.uk/programs/DQF/index.html The aim of this programme is to promote research in quantitative finance and to gather together leaders from all related disciplines including mathematicians, economists and industry professionals, so that they can share their knowledge and advance their understanding. There is already a preliminary schedule for programme (follow links for the above or see http://www.bath.ac.uk/~masdgh/INI/timetable.html). This schedule is based around a series of events on various themes from accross mathematics, economics and finance. There is also a mailing list which those interested in participating in one of the components of the programme are encouraged to join. David Hobson on behalf of the organisers Darrell Duffie, Stanford University David Hobson, University of Bath, Chris Rogers, University of Cambridge, Jose Scheinkman, Princeton University

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